How to get objects from different files into one file?
There are several ways to import other blender objects in to a blender file.
Copy paste
The simplest way is to have both blend files open, and simply copy the object from one file and paste it into the other.
Select the object in the 3D view, then with the mouse still in the 3D view press CrtlC to copy. To paste the object in to the other file pressCrtlV.
Append
For the second method you only need the file that you want both objects inside to be open (prior to 2.8 you have to be in object mode), and then Append the object you want.

File &gt; Append (prior to 2.8 ShiftF1 opened the append window too)
Select the blend file that has the object you want
After opening the blend file go to the Objects and select the object you want by its name.
Click the Link/Append from Library button.